Three-Candle Mean-Reversion Strategy for European Equity Indices

Summary

The document describes a short-term mean-reversion system for France 40, FTSE 100, and DAX index markets on a one-minute chart. It looks at the relationship between the opening price two candles earlier and the current close, with a directional sequence across three candles and different minimum move thresholds for long and short entries. Trading is restricted to a stated intraday time window. The system specifies a profit target, stop loss, and a stop adjustment after a favorable move.

The document supplies strategy code and parameter values, but no backtest, live results, or market-specific validation. Its long and short thresholds differ, and the described stop adjustment levels appear asymmetric in the code, so the implementation merits careful review before evaluation. The author invites suggestions, and the material does not establish that the approach is profitable or robust to execution costs and changing conditions.

Key ideas

• The strategy uses a three-candle price sequence to seek mean-reversion entries.
• It applies different minimum price-move thresholds to long and short trades.
• Entries are limited to an intraday time window on a one-minute chart.
• The rules specify fixed profit and loss exits and a stop adjustment after favorable movement.
• No performance evidence is provided, and the code's stop handling should be checked.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.